Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0101
Annualized Std Dev 0.1555
Annualized Sharpe (Rf=0%) -0.0647

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1350
Quartile 1 -0.0042
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0046
Maximum 0.1280
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0098
Skewness -0.2473
Kurtosis 25.7589

Downside Risk

Close
Semi Deviation 0.0071
Gain Deviation 0.0074
Loss Deviation 0.0079
Downside Deviation (MAR=210%) 0.0121
Downside Deviation (Rf=0%) 0.0070
Downside Deviation (0%) 0.0070
Maximum Drawdown 0.4186
Historical VaR (95%) -0.0136
Historical ES (95%) -0.0226
Modified VaR (95%) -0.0117
Modified ES (95%) -0.0117
From Trough To Depth Length To Trough Recovery
1999-03-16 2008-10-06 NA -0.4186 5541 2406 NA
1999-01-13 1999-02-02 1999-03-15 -0.0318 42 14 28
1999-01-06 1999-01-06 1999-01-12 -0.0064 5 1 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.6 1.3 0 1.3 2.1 -0.7 0 0.8 -0.8 -1.6 0 1.7
2000 0.8 1.6 -0.8 -0.8 -0.8 0.8 0 -0.7 1.5 -1.5 1.6 0.8 2.4
2001 -0.2 0.6 -0.2 0.1 0.1 0.6 0 -0.2 -0.7 2.1 -0.4 0.6 2.4
2002 0.2 0.2 -0.4 0.5 -0.6 0.5 0.6 0.4 -0.1 -0.4 0 0.7 1.6
2003 1.2 0.3 0.3 0 0.9 0.3 -0.8 1.3 0.7 -0.1 -0.1 0.5 4.4
2004 0.3 0.4 -0.9 2.3 0.6 0.3 1 -0.3 -0.1 -0.3 -0.8 0.3 2.7
2005 0 -0.1 -1 0.1 0.5 0.1 -0.5 0.8 -0.1 0 -0.1 0.7 0.4
2006 -1 -0.5 -0.3 0.1 1 0.7 0.5 0.1 0.5 1 0.6 0.6 3.5
2007 -0.4 -0.2 0.1 0.9 0.7 1.3 -1 0.3 0.7 0.8 1 0.3 4.3
2008 0.5 0.1 0 0.1 0.3 0.1 -0.4 -0.1 0.6 1.2 -2.7 0.3 0
2009 1.3 -3.7 3 0.7 0.1 0 -1 0.7 0.7 0.7 -0.5 -0.3 1.6
2010 0.8 0.7 -0.7 -0.1 -0.5 -0.9 0.5 -0.8 0.4 -0.8 -1.2 3.1 0.4
2011 0.9 -0.7 -0.7 0.3 0 0.7 1.3 1.1 1.1 0 1 0.4 5.4
2012 0.5 0 0.4 1.5 -1.1 -0.2 0 1.3 0.3 0.7 0.8 -0.1 4.1
2013 0.8 -0.1 0.6 0 -1.6 1 -1.3 -0.4 -0.4 -0.1 0 -0.3 -1.9
2014 -0.1 0.3 0.4 1 -0.5 0 1.2 -0.1 0.3 -0.1 -0.7 1.3 2.9
2015 -0.1 0.9 0.1 -0.8 -0.9 0.3 0.8 0.1 -0.8 -0.5 1.2 -1.1 -0.8
2016 0 -0.1 0.7 -0.4 1.2 0.1 -0.1 -0.5 -1 0.8 -1.2 0.8 0.4
2017 -0.4 -0.4 0.7 0 -0.4 0.4 0.5 0.1 0.1 1.2 0.3 0.3 2.5
2018 0.4 1 -0.3 0 -1.1 -0.1 -0.6 0.3 0.3 0.3 0.3 -0.6 -0.1
2019 0 0.7 -0.5 0.1 0.1 -0.2 -0.1 0.1 0.1 -0.1 0.5 1.1 1.7
2020 0 -1.1 -2.1 0.3 0.9 0.7 0.3 1.2 0.1 0.1 0 0.4 0.8
2021 0.4 -1.1 -0.1 NA NA NA NA NA NA NA NA NA -0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.81 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.81 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9.75 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.75 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.75 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.75 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart